Modelling dependence using skew t copulas: Bayesian inference and applications

By M. S. Smith, Quan Gan, Robert Kohn. 2012

125 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1a22fadb380d6e1344e86e2d3f13ed6b51a05f23

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Citations in the corpus

Copula-Based Models for Multivariate Discrete Response Data (2013, background): “Smith, Gan and Kohn [53] extend the work in [49] to other elliptical copula-based models.”
A review of copula models for economic time series (2012, background): “[138].”
Conditional Euro Area Sovereign Default Risk (2014, unknown): “…see, for example, Demarta and McNeil (2005), Chen, Härdle, and Spokoiny (2010), Christoffersen et al. (2012), Patton and Oh (2012, 2013), Smith, Gan, and Kohn (2012), and Engle and Kelly (2012), as well as to a growing literature on observation-driven time varying parameter models,…”
Modeling Dependence in High Dimensions With Factor Copulas (2015, background): “Smith, Gan, and Kohn (2012) extracted the copula implied by a multivariate skew t distribution, Christoffersen et al. (2012) combined 2For general reviews of copulas in economics and finance, see Cherubini, Luciano, and Vecchiato (2004) and Patton (2012). a skew t copula with a DCC model for…”
Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence (2010, unknown): “Bivariate Archimedean copulas (Genest & Rivest 1993), t copulas (Demarta & McNeil 2005) and skew t copulas (Smith et al. 2010) are promising choices of pair-copula, with the resulting D-vines capturing serial dependence in a more flexible manner than multivariate elliptical copula.”
Modeling and forecasting multivariate electricity price spikes (2016, methodology): “A similar approach is taken by Aderounmu and Wolff (2014b,a), who focus on the estimation of the tail dependence parameter, and Smith et al. (2012) who model daily Australian spot prices using a skew t-Copula.”